Integrability of solutions to mixed stochastic differential equations

DOI10.1007/S10958-014-1802-6MaRDI QIDQ460742zbMATH OpenOpenAlexFDO

Authors G. M. Shevchenko

Publication date 14 October 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.1578

zbMATH Keywords

mixed stochastic differential equationexponential moment of a solutionmoment of a solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Growth and boundedness of solutions to ordinary differential equations (34C11)

Abstract: We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential moments. For a special equation whose coefficients do not satisfy the linear growth condition, we find conditions for integrability of its solution.

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Cites work

• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
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• Malliavin regularity of solutions to mixed stochastic differential equations
• Mixed fractional stochastic differential equations with jumps
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• Multidimensional stochastic processes as rough paths. Theory and applications.
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic calculus for fractional Brownian motion and related processes.
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.

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(6)

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